The hottest weather since Autumn is about to hit the south east coast of Australia

Melbourne, Adelaide and Canberra are likely to experience their first 30 degree day of the season this week, while the mercury could hit 40C in western Sydney.

Parts of the states and territory are in for the hottest period since last autumn, with the heat to begin its climb on Wednesday once the residual cooling from the weekend southerly dissipates.

It will spread over the western plains before moving over the eastern ranges on Thursday.

A heatwave is on its way for Melbourne, Sydney, Canberra and Adelaide later this week. (AAP)

Friday will see it extend over the south-east coast and western Sydney.

"It's a high-pressure system that is forming over the Tasman and Coral sea, and that's going to combine with a low-pressure trough and wind circulation that will lead to a heatwave," Weatherzone Forecaster Graeme Brittain said.

Winds are forecast to come off the sea leading to increased humidity, making things feel even hotter.

Parts of western Sydney will nudge 40 degrees. (AAP)

However it won't last long, a cold front will link with a trough and move over the south-east late on Friday and into Saturday, bringing with it some instability and possible thunderstorms and rain.

Adelaide is forecast to reach at least 30 degrees between Wednesday and Friday, peaking at 36 degrees on Thursday. Prior to this week, Adelaide's West Terrace weather station hasn't reached 30 degrees since April.

Melbourne's forecast tops of 33 and 31 degrees on Thursday and Friday respectively are also the city's first days over 30 degrees so far this season. Melbourne hasn't had days this warm since March.

Canberra is tipped to reach 31 on Wednesday and 33 degrees on Thursday and Friday. This would the capital city's first 30 degrees in six months and the first three-day spell over 30 since February.

Sydney's sea breeze should hold out long enough for a top of around 34 degrees in the city on Friday, its highest temperature since April.

The heat won't last long it'll dissipate late Friday early Saturday. (AAP)

Parts of Western Sydney are forecast to reach 38 degrees on Thursday and could push close to 40 degrees in some suburbs.

Hobart should reach the mid-to-high twenties on Thursday, although Australia's southernmost capital city won't see its first 30 of the season during this burst of heat.

Most of Queensland will miss out on the heatwave, with just the west and south inland parts of the state to experience above average temperatures on Thursday.

For Perth, there will be no significant heat, however WA’s south-west will play host to a low-pressure system bringing rain and storms and increased wind on Saturday and Sunday.

Darwin will also experience showers and storms on Friday and Saturday, with its temperatures to remain average, around 35 degrees.